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Input From Other Traders Not Using NinjaTrader

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  #1 (permalink)
Seattle, WA USA
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Ninja Trader Brokerage
Trading: YM, NQ
 
Posts: 24 since Jan 2014
Thanks: 76 given, 8 received

Hi,

I have an account with NT Brokerage, but am having issues with my charting. No, I'm not asking Support, been there, done that. What I am asking is how the data feed with other Brokers are doing. ie I realize there is and has been great volatility in the market. But does this volatility for other Brokers entail each and every bar?

Price will be going one way for a few ticks (NQ), but suddenly jerk the other direction, then maybe jerk back. These wild jerks could entail anywhere from 5 - 20 ticks. Support tells me it's all due to market volatility, but I've had two other Brokers (IB, MBTrading) in the past since 1998 and there had been periods of volatility with them, but never ever experienced this impossible scenario to trade.

I am beginning to wonder if the issue has to do with the Data coming from the Exchange -> Dorman Trading-> then to NT. Plus the fact NT is making it possible for clients to have two platforms up at the same time. Seems to me this would affect data flow.

I would appreciate other traders input regarding your Broker and Data feed.

.

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  #3 (permalink)
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Indianoplace, IN
 
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I'm with Sierra/CQG; if you can post an example with date/time/chart interval, I'd be glad to pull it up and show you what I've got on this end...

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  #4 (permalink)
Seattle, WA USA
 
Experience: Intermediate
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That's very kind of you, thank you! Not sure if charts will be helpful since they don't show the jerkyness of real time.




I hope this worked.

It did. The Sell time for trade on chart #1 was 8:13:50.

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  #5 (permalink)
Seattle, WA USA
 
Experience: Intermediate
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Trading: YM, NQ
 
Posts: 24 since Jan 2014
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BTW, NT Support solution is: No more than 1 Workspace, No more than 2 days to load, no more than three charts with no indicators plus best to use minute charts. Really??? NT didn't use to have these issues. Again, I realize volatility, but I think there is more to this than that.

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  #6 (permalink)
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Not sure man, I did a market replay in Sierra to look at it (tick-by-tick data) and didn't see anything unusual...

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  #7 (permalink)
charlotte nc
 
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Hi Kelsey,

I am using NinjaTrader but likely in a very different capacity than you so I can help you understand what is likely behind this and what is not behind this.

I have an automated strategy running from a co-located server near my data provider (Continuum / CGQ). I don't use charts or interact with any NT indicators as I have heard that these can slow things down in some cases. All of my trades this week have been filled from entry to exit in less than 1 second and typically around 100 milliseconds using limit orders only for both sides. I have seen the high volatility and have even been caught as recently as today on a trade where 2 price levels got taken out and I got filled as a result. All this being said, here is what I think.

1. Ninjatrader core execution / order routing: This works fine for me, so I don't the issue is here.
2. Broker Risk Checks: I also use NT brokerage and have noticed a lag of about 100 to 200 milliseconds from submitting an order going from initialized to working to accepted. So I think this can explain a bit of the lag you may be seeing. But this is going to be par for the course no matter who you use. The only way to bypass broker risk is to go DMA or if you want a free hack..... you can always re-purpose an order at a new price. Price changes won't hit broker risk, but quantity changes, and new order submittions will. Though you will likely need to be a programmer to take advantage of this, and even then, this will only come into play in certain aspects of HF trading anyway.
3. Data feed: Again I use contiuim / CQG and I print hundreds of thousands of statistics every hour when I trade. I haven't hit any lag, delays or anything even during the last 5 minutes of the US cash sessions. So I think you are fine on the data feed.

This is likely where our common use cases end. Beyond this you have the following that may be culprits.

1. Internet speed (If not co-locating)
2. Using Ninjatrader Charts / Indicators / other tools: These can be real memory hogs, but I don't know how they might impact execution speed
3. Manual order interface: I don't use this, but I imagine the click to order speed may have anywhere from 10 milliseconds to maybe 20 milliseconds especially in a fast moving market, it likely has to figure out where to mark you.
4. The use of market orders: In a fast market, the use of market orders is likely going to be the culprit because believe it or not you are NOT filled instantly here. I believe this is likely going to be the biggest culprit. Similar to the visible limit order queue on the Super DOM there is an invisible market order queue and you may be # 500 out of 1000 that are trying to go long at any point in time. So you are hitting the Ask. If you look at the DOM you may see that there are only 100 to 200 order in the top 5 price levels because higher volatility has made the limit order book week. So when your # 500 gets called finally you get filled 3 + price levels further out than where you initially clicked. I think this is most likely going to be the largest contributing factor.

Hope this helps.

Best of Luck!

Ian


Kelsey View Post
Hi,

I have an account with NT Brokerage, but am having issues with my charting. No, I'm not asking Support, been there, done that. What I am asking is how the data feed with other Brokers are doing. ie I realize there is and has been great volatility in the market. But does this volatility for other Brokers entail each and every bar?

Price will be going one way for a few ticks (NQ), but suddenly jerk the other direction, then maybe jerk back. These wild jerks could entail anywhere from 5 - 20 ticks. Support tells me it's all due to market volatility, but I've had two other Brokers (IB, MBTrading) in the past since 1998 and there had been periods of volatility with them, but never ever experienced this impossible scenario to trade.

I am beginning to wonder if the issue has to do with the Data coming from the Exchange -> Dorman Trading-> then to NT. Plus the fact NT is making it possible for clients to have two platforms up at the same time. Seems to me this would affect data flow.

I would appreciate other traders input regarding your Broker and Data feed.

.


In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
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  #8 (permalink)
Seattle, WA USA
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Ninja Trader Brokerage
Trading: YM, NQ
 
Posts: 24 since Jan 2014
Thanks: 76 given, 8 received


Rrrracer View Post
Not sure man, I did a market replay in Sierra to look at it (tick-by-tick data) and didn't see anything unusual...

Interesting. Thanks for checking it out. I'm assuming you didn't see the fast price movement in seconds as Ian described. He did a better job of describing price movement that I've been concerned about than I did.

Thanks again!

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  #9 (permalink)
Seattle, WA USA
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Ninja Trader Brokerage
Trading: YM, NQ
 
Posts: 24 since Jan 2014
Thanks: 76 given, 8 received

Hi Ian,

Thanks for your very in-depth perspective.

I think maybe - based on other Threads I've read - you had CGQ before NT changed to limited data providers and you were lucky to be grandfathered in where you could still use them. That there is a plus I would think to be able to still use CGO. Lucky you especially since I'm not sure how good Dorman Trading really is especially knowing they will trade against me.

Your description of what you are going through with orders is exactly what I've been concerned about. However, your explanations of causes sound logical. Call me a pessimist, but I'd rather have input from another trader over Support if I'm questioning what they're telling me. Too often, in other cases, not NT, businesses tend to shift blame somewhere else.

Your #4. Yes, I have been using Market orders plus using the PT platform rather than Super Dom. Tomorrow I'll practice using the Super Dom with Limit orders and see how I do. I've avoided the Super Dom because the prices bouncing around blew me away.

Yes, your in-depth descriptions are very helpful! Thanks again!
Kelsey



iantg View Post
Hi Kelsey,

I am using NinjaTrader but likely in a very different capacity than you so I can help you understand what is likely behind this and what is not behind this.

I have an automated strategy running from a co-located server near my data provider (Continuum / CGQ). I don't use charts or interact with any NT indicators as I have heard that these can slow things down in some cases. All of my trades this week have been filled from entry to exit in less than 1 second and typically around 100 milliseconds using limit orders only for both sides. I have seen the high volatility and have even been caught as recently as today on a trade where 2 price levels got taken out and I got filled as a result. All this being said, here is what I think.

1. Ninjatrader core execution / order routing: This works fine for me, so I don't the issue is here.
2. Broker Risk Checks: I also use NT brokerage and have noticed a lag of about 100 to 200 milliseconds from submitting an order going from initialized to working to accepted. So I think this can explain a bit of the lag you may be seeing. But this is going to be par for the course no matter who you use. The only way to bypass broker risk is to go DMA or if you want a free hack..... you can always re-purpose an order at a new price. Price changes won't hit broker risk, but quantity changes, and new order submittions will. Though you will likely need to be a programmer to take advantage of this, and even then, this will only come into play in certain aspects of HF trading anyway.
3. Data feed: Again I use contiuim / CQG and I print hundreds of thousands of statistics every hour when I trade. I haven't hit any lag, delays or anything even during the last 5 minutes of the US cash sessions. So I think you are fine on the data feed.

This is likely where our common use cases end. Beyond this you have the following that may be culprits.

1. Internet speed (If not co-locating)
2. Using Ninjatrader Charts / Indicators / other tools: These can be real memory hogs, but I don't know how they might impact execution speed
3. Manual order interface: I don't use this, but I imagine the click to order speed may have anywhere from 10 milliseconds to maybe 20 milliseconds especially in a fast moving market, it likely has to figure out where to mark you.
4. The use of market orders: In a fast market, the use of market orders is likely going to be the culprit because believe it or not you are NOT filled instantly here. I believe this is likely going to be the biggest culprit. Similar to the visible limit order queue on the Super DOM there is an invisible market order queue and you may be # 500 out of 1000 that are trying to go long at any point in time. So you are hitting the Ask. If you look at the DOM you may see that there are only 100 to 200 order in the top 5 price levels because higher volatility has made the limit order book week. So when your # 500 gets called finally you get filled 3 + price levels further out than where you initially clicked. I think this is most likely going to be the largest contributing factor.

Hope this helps.

Best of Luck!

Ian


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  #10 (permalink)
Somewhere in, Texas
 
 
Posts: 17 since May 2010
Thanks: 19 given, 8 received



Kelsey View Post
BTW, NT Support solution is: No more than 1 Workspace, No more than 2 days to load, no more than three charts with no indicators plus best to use minute charts. Really??? NT didn't use to have these issues. Again, I realize volatility, but I think there is more to this than that.

Is that really what support told you?
That sounds totally inadequate for me.

iantg did provide a great analysis. Thanks iantg.

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  #11 (permalink)
charlotte nc
 
Experience: Master
Platform: ninjatrader
Broker: NinjaTrader
Trading: Emini (ES, YM, NQ, ect.)
 
Posts: 398 since Jan 2015
Thanks: 76 given, 1,081 received

Hi Kelsey,

For the record CGQ = Continuum. It's just a re-brand. I wasn't grandfathered or anything like that. You can use Continuum right now if you would like. I co-locate with a server that from what I understand is in the same building as Continuum's servers, so I can get their feed as fast as possible.

I think you can use limit orders, stop orders, or stop limit orders from charts or the basic entry screen as well. So you could look at the DOM if you would like to see the depth out there, but submit your orders from something that won't cost extra. I am not sure how you are trading, but their are some options that won't add incremental cost.

If I had to venture a guess I think you are likely seeing this as your total Lag chain:

1. 10 - 20 millisecond lag: Mouse Click > Application > Order being Submitted
2. 10- 200 millisecond lag: internet to broker: (Depending on how close you are to your broker. For CME there are some in the northeast, and some in Chicago, so co-locating might make sense if you are not close to your broker.
3. 50-200 millisecond lag: Broker Risk: Everyone has to go through this to get your order routed to the exchange
4. 100 Millseconds - 5 seconds lag: Market Order queue relative to the limit order queue. If the market order queue is larger than the current limit order price level queue then more than 1 price level will be cleared before your order comes up.

In a lot of cases recently on the ES, I believe that the market order queue has been anywhere from 2x to 5x larger than any single price level in the limit order queue, so if you submit a market order, it you will be marked as # x out of let's say 700 trying to go short on the Bid. The top 3 levels of the limit order queue are respectively 100, 200, 200 ,200... So in this scenario by the time you get your fill, you will have hopped 4 price levels. This doesn't happen often historically, but I have seen it a good bit here and there since Feb 2018.

If you have gotten burned by this phenomena recently, then I recommend using stop, limit, or stoplimit order types since these will protect you from exactly this type of behavior. You give up the guarantee of a fill, but the trade off is protection from getting filled at the expense of instantly being on the wrong side of a trade.

Regarding brokers, I use Phillips, (NTs other broker option). If you want a quantifiable metric to measure your broker by, just look at your log files and check the time stamps between your order states. If you are moving from initialized > Working > Accepted in 10 -20 milliseconds per each state, then this is okay. But if you catch half a second to a second this might be a concern. I have heard that some brokers also have their own trading businesses, but I don't think that small retail players should be worried on very popular exchanges. Cherry picking orders may be an issue on more obscure exchanges / instruments, but if you are playing with the more popular ones I don't think there is anything to worry about.

Best of luck!

Ian




Kelsey View Post
Hi Ian,

Thanks for your very in-depth perspective.

I think maybe - based on other Threads I've read - you had CGQ before NT changed to limited data providers and you were lucky to be grandfathered in where you could still use them. That there is a plus I would think to be able to still use CGO. Lucky you especially since I'm not sure how good Dorman Trading really is especially knowing they will trade against me.

Your description of what you are going through with orders is exactly what I've been concerned about. However, your explanations of causes sound logical. Call me a pessimist, but I'd rather have input from another trader over Support if I'm questioning what they're telling me. Too often, in other cases, not NT, businesses tend to shift blame somewhere else.

Your #4. Yes, I have been using Market orders plus using the PT platform rather than Super Dom. Tomorrow I'll practice using the Super Dom with Limit orders and see how I do. I've avoided the Super Dom because the prices bouncing around blew me away.

Yes, your in-depth descriptions are very helpful! Thanks again!
Kelsey


In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
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  #12 (permalink)
Seattle, WA USA
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Ninja Trader Brokerage
Trading: YM, NQ
 
Posts: 24 since Jan 2014
Thanks: 76 given, 8 received


4trading View Post
Is that really what support told you?
That sounds totally inadequate for me.

iantg did provide a great analysis. Thanks iantg.

Yes, that is what Patrick told me while on Remote Call. I thought it quite inadequate too. He gave the example of too much water that can't all get into the pipe. He was referring to speed of the market, but I was left wondering if traders being able to have two NT platforms up at the same time isn't causing what I'm referring to. However, it seems Ian isn't having the same problems. Go figure, huh. About ready to just give up trading here. Small account and can't take all those hits even though I try to just do my set-up.

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  #13 (permalink)
Seattle, WA USA
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Ninja Trader Brokerage
Trading: YM, NQ
 
Posts: 24 since Jan 2014
Thanks: 76 given, 8 received

Hi Ian,

Thanks for another in-depth answer. I looked at my Log as you suggested and the trades are going through a second after the submitting order. I'll try using limit orders, stop orders, or stop limit orders once I get used to SuperDom because it would be faster than off my NT platform. I haven't purchased NT so can't trade off the charts. Won't trade until I earn the money to buy it.

Kelsey.




iantg View Post
Hi Kelsey,

....

Regarding brokers, I use Phillips, (NTs other broker option). If you want a quantifiable metric to measure your broker by, just look at your log files and check the time stamps between your order states. If you are moving from initialized > Working > Accepted in 10 -20 milliseconds per each state, then this is okay. But if you catch half a second to a second this might be a concern. I have heard that some brokers also have their own trading businesses, but I don't think that small retail players should be worried on very popular exchanges. Cherry picking orders may be an issue on more obscure exchanges / instruments, but if you are playing with the more popular ones I don't think there is anything to worry about.

Best of luck!

Ian


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